Destriero, Thank you for all the good intentions and effort, but for the life of me I can’t even figure out the call fly. Can’t tweak it to have delta neutral at 10 points above body strike, not even at current SPX spot. Adding to the puzzle, I don’t know how these two phrases can describe the same situation:
Ironchef, no need to include me in the list. I don't deserve it. I kept twisting my mind trying to figure out what Destriero was saying, but no way to solve it and gave up.
Dest, do you follow a sticky strike or sticky delta model? You have mentioned it to me before but i can not find it. Thanks
@destriero Just wondering if you trade flies regularly [and profitably]? I tried trading them for a couple months using IB, but I never got filled on their spread trader. Maybe I was not being forgiving enough on my bids and asks.
When I think of a 1-3-2 fly, to me it seems to be either of: regular 1-2-1 fly minus a vertical spread difference of two 1:2 verticals All of the above are popular combinations. Do you like to peel off parts of 1-3-2 as time progresses?
Yeah, it's 30-40% of my trading and I am up on the year. You're not going to be filled at mid. It's hard to address fills without specifics.